A smooth nonparametric estimator of a quantile function. (English) Zbl 0593.62037

Yang, Shie-Shien

J. Am. Stat. Assoc. 80, 1004-1011 (1985).

Summary: A smooth alternative to the conventional sample quantile function as a nonparametric estimator of a population quantile function is proposed. The proposed estimator is essentially a kernel type of estimator and has the same asymptotic distribution as the conventional sample quantile. The mean squared convergence rate of the proposed estimator is also estimated.
Monte Carlo studies are conducted to compare the proposed estimator with the sample quantile and the estimator proposed by W. D. Kaigh and P. A. Lachenbruch [Commun. Stat., Theory Methods 11, 2217-2238 (1982; Zbl 0499.62034)]. The feasibility of using bootstrap techniques to estimate the optimal window width for the proposed estimator is also considered.

MSC:

62G05	Nonparametric estimation
62G30	Order statistics; empirical distribution functions

Keywords:

asymptotic properties; population quantile function; mean squared convergence rate; Monte Carlo studies; optimal window width

Citations:

Zbl 0499.62034